Finance and Financial Management Commons^™

Reexamining Metallgesellschaft’S Hedging Policy: Does Anything Beat A One-For-One Hedge Ratio?, Christopher Haddock

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

There has been significant debate surrounding Metallgesellschaft's derivatives based fixed-price marketing strategy. Most of this debate relates to Metallgesellschaft's choice to use a one-for-one hedge ratio instead of an alternative hedge ratio optimized for risk management. I contribute to this discussion by reexamining the hedging strategy of Metallgesellschaft and use the Test for Superior Predictive Ability to determine whether any hedge ratio less than one outperforms the one-for-one hedge utilized by Metallgesellschaft.

The Relative Industry Specific Effects Of Covid-19 On Market Volatility And Liquidity, Callin Christensen

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Understanding how historical events affect market volatility and liquidity can provide crucial information to financial analysts, investment professionals, and managers in the event that similar circumstances resurface. In this study, I look at how a global pandemic (COVID-19) can introduce frictions into the market and cause disrupt the generation or flow of available information, this could cause prices to deviate significantly from their equilibrium values. I also hypothesize that these inefficiencies may have a greater effect on some industries than others. My analysis seems to confirm this hypothesis. I observe that the global COVID-19 pandemic leads to statistically significant increases …

Reinforcement Learning For Dynamic Futures Hedging, Evan Bullard

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This paper focuses on oil hedging using near month crude oil futures. Hedging may allow a firm to reduce risks and focus on areas of comparative advantage. Hedging requires a firm to estimate ex-ante the correct hedge ratio. The portfolio optimization framework allows for OLS to be applied to the estimation of a hedge ratio. Reinforcement Learning is another method available to hedgers to estimate a hedge ratio. Three strategies using econometric tools and one using Reinforcement Learning are estimated and tested against 2019 oil price data.

Mass Shootings And The Performance Of Tourism Stocks, Marshall Deem

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This study investigates the effects of mass shooting events on the performance of the tourism industry within the United States. The results of the study show that outside of the market-wide returns, the performance of tourism stocks is negatively impacted after a large-scale mass shooting event. Furthermore, when separating extreme outliers in the data such as the Las Vegas Mandalay Bay shooting, the results of the study find that tourism stocks surrounding other large-scale mass shootings are significantly negative. Overall, the results of the study demonstrate a negative response in the tourism industry to large-scale mass shootings.

Black-Scholes And Neural Networks, Gabriel Adams

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Neural networks have been proven to be universal approximators. We use neural networks to investigate the relationship between the quality of input data and the quality of outputted predictions from a neural network. We show that neural networks perform better on option pricing data with quality data and perform worse with lower quality data.

Industry Stock Prices Around Covid-19, Daniel Cardall

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

In this study, I examine how market participants respond to global uncertainty around the Covid-19 pandemic. More specifically, I analyze the industries most affected by the outbreak. The pandemic has created events never before seen at such a global level. Governments closed their country’s borders and quarantined their residents. Business owners closed their doors. These unforeseen events put the world economy at a standstill. I find that these decisions caused the U.S. stock markets to crash by more than 30%. The industries that experienced the most negative value-weighted abnormal returns were Carry, Meals, and Books. The industries that exhibited the …

The Impact Of Competition From Venture Capitalists On Corporate Venturing Investment, Marco Bade

The Journal of Entrepreneurial Finance

This study proposes a model on corporate venturing (CV) investment and examines the impact of venture capital (VC) activity in the economy on CV firms’ investment. The presence of VCs creates competition for entrepreneurs. This reduces CV firms’ expected venturing returns, and thus gives rise to a financial disincentive to CV investment. The empirical prediction of this result is that competition for talent should decrease CV investment. This prediction contradicts previous statements in the theoretical literature on CV.

Pisa 2018: Financial Literacy In Australia, Sue Thomson, Lisa De Bortoli, Catherine Underwood, Marina Schmid

OECD Programme for International Student Assessment (PISA) Australia

The Programme for International Student Assessment (PISA) 2018 is the seventh cycle of PISA since it was first conducted in 2000 and measures students’ skills in the core areas of reading literacy, mathematical literacy and scientific literacy. Since PISA 2012, financial literacy has been included as an additional optional assessment that accompanies the core assessments. In Australia, the financial literacy assessment is funded by the Australian Securities and Investment Commission. This report presents the results for the third assessment of financial literacy and focuses on the measurement of financial literacy for Australia as a whole and for different demographic groups, …

The Federal Reserve’S Financial Crisis Response E: The Term Asset-Backed Securities Loan Facility, Rosalind Z. Wiggins, Andrew Metrick

Journal of Financial Crises

Securitization is a process that allows banks and other lenders to package loans and sell them as bonds called asset-backed securities (ABS), removing them from their balance sheets and immediately generating cash for new loans. ABS are an important component of the financing cycle for many types of loans to households and small businesses, including mortgages. In the fall of 2008, financial markets began experiencing disturbances as the effects of the U.S. subprime market meltdown spread. The ABS market froze decreasing the volume of new loans to households and small businesses. The Federal Reserve became very concerned about the potential …

House Banks In Out-Of-Court Reorganization: Evidence From Austria, Stefan Mayr, Christine Duller, Kerstin Stumbauer

The Journal of Entrepreneurial Finance

The main purpose of this article is to study the role of house banks in out-of-court reorganization. Banks are traditionally one of the most important financial resources for firms. Especially in financially difficult times like those we now face due to the coronavirus, it can make a difference whether a bank supports its clients and accompanies firms through a crisis or not. With the help of relationship lending theory, we review the existing literature on this topic. Next, based on empirical findings from Austrian banks, we derive implications for corporate practice. The empirical study covers a sample of 658 firm …

International Portfolio Prospects And Concerns, Dimitrios V. Siskos

Publications

The recent financial crisis amplifies the need for an updated and more universal investment strategy for both individuals and corporate investors. Diversification satisfies that condition, as it provides access to different economies operating in different countries while, simultaneously, it spreads the risk across different asset allocation[1]. However, to benefit the advantages of a diversified portfolio, a sophisticated decision making process and appeal to re-planning are required. Otherwise, international investors have to face the consequences of political-country risk and currency risk. The goal of this research is to correlate the benefits of diversification with risk undertaking for either individual …

Towards A Data-Driven Financial System: The Impact Of Covid-19, Nydia Remolina

Centre for AI & Data Governance (2019-2025)

The COVID-19 outbreak has a growing impact on the global economy and the financial sector, which plays a critical role in mitigating the unprecedented macroeconomic and financial shock caused by the pandemic. Given the unprecedented nature of the current crisis, financial regulators and supervisors, central banks, along with governments and legislatures face challenges to maintain financial stability, preserve the well-functioning core markets, and ensure the flow of credit to the real economy. Even though the COVID-19 has slowed down our daily lives and stopped the operation of many industries, it did not have the same effect in the data-driven finance …

Using Text Analytics To Apprehend Urban Sustainability Development, Picheng Lee, Gary Kleinman, Chu Hua Kuei

Department of Accounting and Finance Faculty Scholarship and Creative Works

This research aims to specify critical urban sustainability issues by mining unstructured text data derived from the C40 city datasets of the Carbon Disclosure Project. The current study identifies underlying topical issues exhibited by text corpora, enables creation of smarter data visualizations, and forms useful profiles. Four underlying topical areas are examined: economic opportunities, climate risks, incentives to reduce greenhouse gas emissions, and emissions reduction activities. For each area, we built text data visualization profiles. Developing these text data visualization profiles enables greater attention to be paid to the list of topical issues shown in the profiles. Given the number …

College Of Business Dean's Report: 2019-2020, Ryan Butt

College of Business Dean’s Reports

No abstract provided.

Project Foresight: A Ten-Year Retrospective, Paul J. Speaker, Max M. Houck

Faculty & Staff Scholarship

Project FORESIGHT is a business-guided self-evaluation of forensic science laboratories across the globe. The participating laboratories represent metro, regional, state, and national agencies. Economics, accounting, finance, and forensic faculty provide assistance, guidance, and analysis. Laboratories participating in Project FORESIGHT have developed standardized definitions for metrics to evaluate work processes, linking financial information to work tasks, and functions. Laboratory managers can then assess resource allocations, efficiencies, and value of services—the mission of Project FORESIGHT is to measure, preserve what works, and change what does not.

The benchmark data for the 2018-2019 performance period includes laboratory submissions for a variety of fiscal …

An Analysis Of Factors That Affect Audit Opinions: The Case Of The Local Government Units In The Metro Luzon Urban Beltway, Florenz C. Tugas, Maria Corazon P. Gomez, Roselle Marie A. Sacorum, Rica Angela M. Lipana, Geneva Leecea M. Barawid

DLSU Business & Economics Review

The audit is performed to give assurance to the public that financial statements are fairly presented. Accurate issuances of audit opinions show how compliant firms are to auditing standards. Receiving an unfavorable audit opinion will signal firms to improve internal control. Given this, it is important for the top management to assess the factors that can lead to misrepresentation of financial statements and result in adverse opinions. The same principle can be applied to government units and offices. With this in mind, the study was performed to investigate the influences of qualitative and quantitative factors on audit opinions received by …

Two Essays On Ceo Overconfidence In Relation To Speed Of Adjustment Of Firm Financial Policy And Ceo Inside Debt, Xiang Long

Theses and Dissertations in Business Administration

This dissertation is a thorough examination of CEO overconfidence, and consists of two essays. The first essay focuses on the relationship between CEO overconfidence and the adjustment speed of firm financial policy. No research has examined the relationship between CEO overconfidence and firm financial policies adjustment speed. Previous studies focus solely on the adjustment speed of leverage, we are motivated to examine the adjustment of firm leverage and the adjustment of cash holdings together because there is evidence that firm leverage and firm liquidity are related. We find that CEO overconfidence places an important role in adjusting firm leverage and …

Essays On Investments And Real Estate Finance, Shahedur Rahaman Chowdhury

Theses and Dissertations

Essay I examines the role of macroeconomic fundamentals in explaining the explosive behavior or price exuberance in the US local housing markets. Using monthly observations between November 1997 and December 2016 we employ the double recursive approach from Philips et al., (2015) to identify the emergence of price exuberance in each of the 291 U.S. Metropolitan Statistical Areas in the sample. Our estimations results show that population and income per capita have a significant positive effect on price exuberance, while unemployment rate and fixed mortgage interest rate have a negative effect. The marginal impacts of these macro fundamentals on housing …

Editor's Note, Marites Tiongco

DLSU Business & Economics Review

No abstract provided.

The Contributors, Marites Tiongco

DLSU Business & Economics Review

No abstract provided.